Model Validation Specialist - AVP

Permanent

London - Hybrid Working

A leading global investment bank in the UK is currently looking for a Model Validation Specialist. As a Quantitative Analyst your responsibility will be to assess, analyse and test credit derivative and securitisation models for pricing, risk management and regulatory stress testing

Your Responsibilities:

• Document test results in a model validation report to be reviewed by regulators and which will form the basis of discussion with key model stakeholders including Front Office Trading, Model Developers, Market Risk Managers, and Finance Controllers
• Active participation in the development and maintenance of an internal Python library to improve the efficiency of testing and documentation
• Communication of validation results
• Engaging with the due diligence aspects of the New Product Approval Process

Key skills and experience:

• Educated to Doctor of Philosophy (PhD) or Master of Sciences (MSc) level or equivalent qualification/work experience in a numerate subject, such as Mathematics, Financial Mathematics, Physics or Statistics
• Experience and understanding in a Model Validation, Front Office Quant role or other relevant quantitative finance role
• Python testing and coding knowledge
• Excellent mathematical ability with an understanding of Stochastic Calculus, Partial Differential Equations, Monte Carlo Methods, and Numerical Algorithms
• A deep understanding of derivatives pricing models and a strong interest in financial markets demonstrated by qualifications and experience
• Experience with Credit derivative/securitisation models